I have always had the desire to study the Buddhist philosophy but haven´t been quite well directed to it perhaps. Problem is that when you ask a Muslim which book one should read to study Islam, he will suggest the Qur´an, a Christian will suggest the Gospels, a Jew will suggest the Torah and a Hindu will direct me to the Bhagavad Gita, but what exactly should I read to study Buddhism?

In short, which book is considered as holy or sacred by the Buddhists, if there is any at all?

Try The Suttas there are five collections, the Digha Nikaya, Majjhima Nikaya, Samyuta Nikaya, Angutara Nikaya, and the Kundhaka Nikaya.I am not sure how many volumes these take up in total but I will guess somewhere around the 30 mark? but there is also the Vinaya or Abhidhama which have 12 volumes between them. I think the full collection spans about 5foot of shelving.

but if you are looking for an introduction to Theravada texts try "in the Buddhas words" by Bhikkhu Bodhi, or "Wings to awakening" by Thanisaro Bhikkhu (the latter is freely available on-line)if you are looking for an introductory book on Buddhism particularly the theravada then "what the Buddha taught" by Rahula.

He who knows only his own side of the case knows little of that. His reasons may be good, and no one may have been able to refute them. But if he is equally unable to refute the reasons on the opposite side, if he does not so much as know what they are, he has no ground for preferring either opinion … ...He must be able to hear them from persons who actually believe them … he must know them in their most plausible and persuasive form.John Stuart Mill

Commander wrote:In short, which book is considered as holy or sacred by the Buddhists, if there is any at all?

We'll want to plant a flag on the terms "holy" and "sacred" so we will be sure not to make mistaken assumptions on their account, but they'll do for now.

The best text to study, in a comparative sense when also reading the Quran, Tanakh ("old testament"), Gospels, Analacts, and so forth, is probably the Majjhima Nikaya. It covers the material with a balanced combination of doctrine and narrative context, which is why it compares well with the format of these other holy books.

You can read more about the Pali Canon here, for a decent overview of core Theravada Buddhist texts. Alongside the Nikayas which comprise the Sutta section (the Majjhima Nikaya is one of these five), you will notice a Vinaya section (monastic rules & history) and an Abhidhamma section (extrapolation & commentary). These texts function similarly to the way the Talmud or the Hadiths or the Catechism of the Catholic Church are used, in case you are familiar with any of those.

"And how is it, bhikkhus, that by protecting oneself one protects others? By the pursuit, development, and cultivation of the four establishments of mindfulness. It is in such a way that by protecting oneself one protects others.

"And how is it, bhikkhus, that by protecting others one protects oneself? By patience, harmlessness, goodwill, and sympathy. It is in such a way that by protecting others one protects oneself.- Sedaka Sutta [SN 47.19]